The PlayStation Portable(PSP) is Sony's first attempt to enter the handheld market. A market that was dominated by Nintendo.
The PSP features a wifi connection for wireless multi-player (or internet browsing). You can also play MP3, videos and view photos from MemoryStick Pro Duo.
By connecting the PSP with it's USB 2.0 port to a PC you have access to the memorystick.

Firmware 1.50 was hacked shortly after release. Firmware 1.50 allowed people to run homebrew software and even play copies (iso) of games from memorystick.
Sony shortly released an updated firmware (2.00) to prevent this, but people where able to downgrade to firmware 1.50.
After releasing firmware 2.01 (preinstalled on all new PSP's) the downgrade wasn't possible anymore.